ON THE CORRELATION STRUCTURE OF THE WAVELET COEFFICIENTS OF FRACTIONAL BROWNIAN-MOTION

Authors
DIJKERMAN RW MAZUMDAR RR
Citation
Rw. Dijkerman et Rr. Mazumdar, ON THE CORRELATION STRUCTURE OF THE WAVELET COEFFICIENTS OF FRACTIONAL BROWNIAN-MOTION, IEEE transactions on information theory, 40(5), 1994, pp. 1609-1612
Citations number
9
Categorie Soggetti
Information Science & Library Science","Engineering, Eletrical & Electronic
Journal title
IEEE transactions on information theory → ACNP
ISSN journal
00189448
Volume
40
Issue
5
Year of publication
1994
Pages
1609 - 1612
Database
ISI
SICI code
0018-9448(1994)40:5<1609:OTCSOT>2.0.ZU;2-C
Abstract
In this correspondence, we show that the interdependence of the discre te wavelet coefficients of fractional Brownian motion, defined by the normalized correlation, decays exponentially fast across scales and hy perbolically fast along time.